投资组合虚拟无差异曲线模型最优化方法

Optimization of Virtual Zero Difference Curve Model for Investment Portfolio

在对沪市 β 域划分的基础上 ,根据马柯威茨有效组合最优化原理 ,阐述了投资组合虚拟无差异曲线一般模型的求解思路 ,即无论是在允许卖空和非允许卖空条件下均可以从虚拟无差异模型的基本问题出发 ,前者从基本问题的求解即可达到最优组合 ;后者可在基本问题求解的基础上进行二次寻优求得最优组合 .讨论了风险型和保守型投资者的投资组合模型及其求解方法 .给出了基于 β 风险域的投资组合最优化方法的应用例子 .

According to the principle of Markorwtz valid portfolio, the solution train of thoughts for virtual zero difference curve model is discussed. The solution of portfolio optimization from virtual zero difference curve basic model is derived no mater it is sell short or no sell short. Basic model solution is the final optimization of Investment portfolio for the sell short for second times. And risk detestation portfolio mathematic model is also discussed. An applicable example of investment portfolio optimization method based on β set is given in the paper.